Dissecting the tail: assessing global drivers of French sustainable markets

Purpose This study explores the dynamic and asymmetric effects of global major risks (specifically financial market volatility, geopolitical uncertainty, oil price fluctuations, and climate-related risks) on the performance of green financial assets in France. It aims to assess how these risk factors influence sustainable stock indices under varying market conditions, offering insights into the integration of sustainability within financial systems. Design/methodology/approach The study employs a quantile regression approach to capture the heterogeneous impacts of macro risks across the conditional distribution of sustainable stock returns. This method allows for the examination of tail behaviors and state-dependent sensitivities of green assets, using France's sustainable stock index as the focal point. Findings *Green bonds positively contribute to sustainable stock returns, although they limit diversification benefits. *Volatility indicators (VIX and OVX) exert nonlinear effects, with stronger influences observed during bullish markets. *Geopolitical risk does not show a statistically significant impact. *Both physical and transition climate risks consistently depress sustainable stock performance across all market conditions, underscoring the systemic nature of climate vulnerability. Originality/value This study offers a novel, country-specific analysis of how macro risks influence green financial assets, with a particular focus on France; a global leader in sustainable finance. By using a quantile regression framework, it provides fresh empirical evidence of asymmetric risk impacts and highlights the critical role of climate risks in shaping sustainable investment outcomes. The findings have practical implications for policymakers and financial institutions aiming to enhance market resilience and promote France's transition to a low-carbon economy.